Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
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Publication:4967870
DOI10.1051/proc/201965219OpenAlexW2891949349MaRDI QIDQ4967870
Benjamin Jourdain, O. Bencheikh
Publication date: 11 July 2019
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.06838
Related Items (7)
A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations ⋮ Weak quantitative propagation of chaos via differential calculus on the space of measures ⋮ Multilevel Ensemble Kalman–Bucy Filters ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions ⋮ Approximation rate in Wasserstein distance of probability measures on the real line by deterministic empirical measures ⋮ Weak and strong error analysis for mean-field rank-based particle approximations of one-dimensional viscous scalar conservation laws
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